#include "StdAfx.h"
#include "FdBlackScholesMertonHWVanillaEngine.h"

#include <ql/exercise.hpp>

#include "blackScholesMertonHWProcess.h"
#include "fdmempoptstepcondition.h"
#include "fdmamericanexercisestepcondition.h"
#include <ql/experimental/finitedifferences/fdmlinearoplayout.hpp>
#include <ql/experimental/finitedifferences/fdmblackscholesmesher.hpp>
#include <ql/experimental/finitedifferences/fdmmeshercomposite.hpp>
#include <ql/experimental/finitedifferences/fdminnervaluecalculator.hpp>
#include <ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp>
#include <ql/experimental/finitedifferences/fdmblackscholessolver.hpp>

namespace QuantLib 
{

    FdBlackScholesMertonHWVanillaEngine::FdBlackScholesMertonHWVanillaEngine(
            const boost::shared_ptr<BlackScholesMertonHWProcess>& process,
            Size tGrid, Size xGrid, Size dampingSteps, 
            const FdmSchemeDesc& schemeDesc,
            bool localVol, Real illegalLocalVolOverwrite)
    : GenericEngine<VanillaEmpOption::arguments,
                    VanillaEmpOption::results>(),
      process_(process),
      tGrid_(tGrid), 
	  xGrid_(xGrid), 
	  dampingSteps_(dampingSteps),
      schemeDesc_(schemeDesc), 
      localVol_(localVol),
      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) 
	{
    }

    void FdBlackScholesMertonHWVanillaEngine::calculate() const 
	{
		// 1. Layout
		std::vector<Size> dim;
		dim.push_back(xGrid_);
		const boost::shared_ptr<FdmLinearOpLayout> layout(new FdmLinearOpLayout(dim));

        const boost::shared_ptr<StrikedTypePayoff> payoff =
            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        // 2. Mesher
        const Time maturity = process_->time(arguments_.exercise->lastDate());
        const boost::shared_ptr<Fdm1dMesher> equityMesher(
            new FdmBlackScholesMesher(
                    xGrid_, process_, maturity, payoff->strike(), 
                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 
                    std::pair<Real, Real>(payoff->strike(), 0.1)));
        
        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
        meshers.push_back(equityMesher);
        boost::shared_ptr<FdmMesher> mesher (new FdmMesherComposite(layout, meshers));

        // 3. Calculator
        boost::shared_ptr<FdmInnerValueCalculator> calculator(new FdmLogInnerValue(payoff, mesher, 0));

        // 4. Step conditions
        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
        std::list<std::vector<Time> > stoppingTimes;
		
		QL_REQUIRE(arguments_.exercise->type() == Exercise::American, "Employee option must have American exercise.");	

		// 4.1 Employee option step condition
		Date vestingStartDate = arguments_.vestingStartDate;
		Time vestingStartTime = process_->employeeLossRate()->timeFromReference(vestingStartDate);
		stepConditions.push_back(boost::shared_ptr<StepCondition<Array>>(new FdmEmpOptStepCondition(vestingStartTime, 
																									process_->employeeLossRate(), 
																									mesher, 
																									calculator)));

		// 4.2 American step condition
		Time americanStartTime = process_->riskFreeRate()->timeFromReference(arguments_.exercise->date(0));
		stepConditions.push_back(boost::shared_ptr<StepCondition<Array>>(new FdmAmericanExerciseStepCondition(americanStartTime, 
																											  mesher, 
																											  calculator)));

        boost::shared_ptr<FdmStepConditionComposite> conditions(new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 5. Boundary conditions
        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;

        // 6. Solver
        boost::shared_ptr<FdmBlackScholesSolver> solver(
                new FdmBlackScholesSolver(
                             Handle<GeneralizedBlackScholesProcess>(process_),
                             mesher, 
							 boundaries, 
							 conditions, 
							 calculator,
                             payoff->strike(), 
							 maturity, 
							 tGrid_, 
                             dampingSteps_, 
							 schemeDesc_, 
                             localVol_, 
							 illegalLocalVolOverwrite_));

        const Real spot = process_->x0();
        results_.value = solver->valueAt(spot);
        results_.delta = solver->deltaAt(spot);
        results_.gamma = solver->gammaAt(spot);
        results_.theta = solver->thetaAt(spot);

        /*// 1. Layout
        std::vector<Size> dim;
        dim.push_back(xGrid_);
        const boost::shared_ptr<FdmLinearOpLayout> layout(
                                              new FdmLinearOpLayout(dim));

        const boost::shared_ptr<StrikedTypePayoff> payoff =
            boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        // 2. Mesher
        const Time maturity = process_->time(arguments_.exercise->lastDate());
        const boost::shared_ptr<Fdm1dMesher> equityMesher(
            new FdmBlackScholesMesher(
                    xGrid_, process_, maturity, payoff->strike(), 
                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 
                    std::pair<Real, Real>(payoff->strike(), 0.1)));
        
        std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
        meshers.push_back(equityMesher);
        boost::shared_ptr<FdmMesher> mesher (
                                     new FdmMesherComposite(layout, meshers));
        

        // 3. Calculator
        boost::shared_ptr<FdmInnerValueCalculator> calculator(
                                      new FdmLogInnerValue(payoff, mesher, 0));

        // 4. Step conditions
        std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
        std::list<std::vector<Time> > stoppingTimes;

        // 4.1 Step condition if discrete dividends
        if(!arguments_.cashFlow.empty()) {
            boost::shared_ptr<FdmDividendHandler> dividendCondition(
                new FdmDividendHandler(arguments_.cashFlow, mesher,
                                       process_->riskFreeRate()->referenceDate(),
                                       process_->riskFreeRate()->dayCounter(),
                                       0));
            stepConditions.push_back(dividendCondition);
            stoppingTimes.push_back(dividendCondition->dividendTimes());
        }

        // 4.2 Step condition if american or bermudan exercise
        QL_REQUIRE(   arguments_.exercise->type() == Exercise::American
                   || arguments_.exercise->type() == Exercise::European
                   || arguments_.exercise->type() == Exercise::Bermudan,
                   "exercise type is not supported");
        if (arguments_.exercise->type() == Exercise::American) {
            stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
                            new FdmAmericanStepCondition(mesher,calculator)));
        }
        else if (arguments_.exercise->type() == Exercise::Bermudan) {
            boost::shared_ptr<FdmBermudanStepCondition> bermudanCondition(
                new FdmBermudanStepCondition(
                                    arguments_.exercise->dates(),
                                    process_->riskFreeRate()->referenceDate(),
                                    process_->riskFreeRate()->dayCounter(),
                                    mesher, calculator));
            stepConditions.push_back(bermudanCondition);
            stoppingTimes.push_back(bermudanCondition->exerciseTimes());
        }

        boost::shared_ptr<FdmStepConditionComposite> conditions(
                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 5. Boundary conditions
        std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;

        // 6. Solver
        boost::shared_ptr<FdmBlackScholesSolver> solver(
                new FdmBlackScholesSolver(
                             Handle<GeneralizedBlackScholesProcess>(process_),
                             mesher, boundaries, conditions, calculator,
                             payoff->strike(), maturity, tGrid_, 
                             dampingSteps_, schemeDesc_, 
                             localVol_, illegalLocalVolOverwrite_));

        const Real spot = process_->x0();
        results_.value = solver->valueAt(spot);
        results_.delta = solver->deltaAt(spot);
        results_.gamma = solver->gammaAt(spot);
        results_.theta = solver->thetaAt(spot);*/
    }
}